ReSolve Return Stacked 60-40

Specification

Benchmark
US 60/40

Policy Report

Backtest Report

From to (3y 5m 22d )

Returns (annualized)

Portfolio 7.85%
Benchmark 7.04%

Risk (annualized)

Portfolio 9.93%
Benchmark 11.56%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.45

Excess Return (annualized)

0.81%

Tracking Error (annualized)

5.36%

Risk Free Rate (annualized)

2.29%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.72

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0406 -0.0406
Duration Factor 0.0147 0.0147
Market Factor 0.5311 0.5311
U.S. Tilt (Non U.S.) 0.1510 0.1510
Yield Curve Factor 0.0602 0.0602

Adjusted R2

Portfolio 0.82
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution